000			02195nam a2200265Ia 4500
003			OSt
005			20251111150749.0
008			220909b |||||||| |||| 00| 0 eng d
020			_a1402081103
020			_aSL1558448
037			_cTextbook
040			_aCSL _beng _cCSL
041			_aeng
084			_aB289310bX:6 P5;1 TOR _qCSL
100			_aBartholomew-Biggs, Michael _eauthor. _9850693
245		0	_aNonliner Optimization with Financial Applications
260			_aBoston : _bKluwer Academic Publishers , _c2005 .
300			_axvii,261p.
500			_aIncludes Appendix 253-254p.; References 255-258p.; Index 259-261p.
520			_aThe book introduces the key ideas behind practical nonlinear optimization. Computational finance – an increasingly popular area of mathematics degree programs – is combined here with the study of an important class of numerical techniques. The financial content of the book is designed to be relevant and interesting to specialists. However, this material – which occupies about one-third of the text – is also sufficiently accessible to allow the book to be used on optimization courses of a more general nature. The essentials of most currently popular algorithms are described, and their performance is demonstrated on a range of optimization problems arising in financial mathematics. Theoretical convergence properties of methods are stated, and formal proofs are provided in enough cases to be instructive rather than overwhelming. Practical behavior of methods is illustrated by computational examples and discussions of efficiency, accuracy and computational costs. Supporting software for the examples and exercises is available (but the text does not require the reader to use or understand these particular codes). The author has been active in optimization for over thirty years in algorithm development and application and in teaching and research supervision.
650			_aPortfolio Optimization. _9850694
650			_aOperational Research. _9850695
942			_hB289310bX:6 P5;1 TOR _cTB _2CC _n0
999			_c6978 _d6978